I had the same problem and it looks like a bug with the way Splunk validates the application installation, as it will look for it on the /opt/splunk/etc/apps directory even though this was overwritten by the deployment.conf file.
My way to make the error go away was to create symbolic links in the /opt/splunk/etc/apps to the applications deployed in the /opt/splunk/etc/master-apps directory. This had to be done for each APP deployed via the deployment server.
In this example, I deployed the TA add-on for SoS using the deployment server to push the APP to the cluster master and from there to the peers.
This solved the issue (errors are no longer in splunkd.log), but I'm not a big fan of symbolic links and it's a manual step that you need to add to you MOP when deploying these apps; that is making me wonder if it's worth it to manage the cluster apps via the deployment server.